Quants are everywhere. They run Wall St; they’re in Healthcare and Education. The rest ended up telling us when and where the hurricane will hit.
Category: Macro Commentary
08
Sep
2017
07
Sep
2017
Harvey, Irma, and the Future of Weather Volatility
When Harvey hit Texas, there was speculation about how crude oil and other energy markets would respond. As Irma heads towards Florida and the east coast line, Orange Juice, Cotton, and Lumber markets have all reacted. Here’s CNBC talking about the moves:
29
Aug
2017
Volatility is Traded Now More Than Ever
Despite the fact that the average daily closing value of the CBOE Volatility Index® (VIX®) is about 11.5 so far this year, VIX futures and options both had record days for volume and for open interest this month.
24
Aug
2017
The White Moose
But what if the Black Swan we all knew was coming wasn’t China, or QE, or flash crashes, or Trump, or any of the rest of it? What if the Black Swan we were/have been all worried about was the absence of a black swan, creating a black swan itself?
03
Apr
2017
Asset Class Scoreboard Q1
For now, it looks like investors are trying to cash in on the “hot market.” Just as long they can stomach the volatility that goes along with those kind of markets.
16
Mar
2017
Billionaire Investor, Millionaire Mistakes
If you’re looking for a case study of what a horrible idea it is to invest based on what billionaires invest in, look no further than Bill Ackman (head of Pershing Square Hedge Fund) and his disastrous Valeant trade. This week, Ackman finally got rid of his remaining Valeant shares, totaling roughly $4 Billion in […]
13
Mar
2017
The Continuing Evolution of Volatility Trading
The short history of volatility trading in the CTA space goes something like this: In the beginning, there were simple option selling strategies that sold out of the money calls or puts once a month until something bad happened.
16
Feb
2017
Rickety Rationale for Commodity Investing
More than a few are likely to be confused and/or upset when and if commodity prices go on a tear higher and their absolute return program doesn’t keep pace.
13
Feb
2017
How Will Trump Affect the Global Macro / Managed Futures World?
Today, we published our 2017 Managed Futures/Global Macro Outlook, and there’s one rather ‘in the news’ figure we couldn’t help but analyze given his penchant for market moving tweets and what not.
Yes, It seems leaders in the industry are thinking Trump could very well, “Make Discretionary Marco Great Again.” The thought process is Managed Futures and Global Macro styles should expect….
13
Dec
2016
Crude Oil, a Contender?
We can’t help but look at Crude Oil recently and think of Marlon Brando saying – “I used to be Somebody.” Although our memories aren’t as good as Google’s. Here’s the actual line: “I could’a had class, I could’a been a contender, I could’a been somebody” In Crude Oil’s case… it’s not a could’a been, […]
